Pennyfarthing, to tag on to what Hurdity has said, the oral HRT route does carry higher risks (albeit very small risks) and if you were either (a) unhappy with your current regime/progesterone intolerant or (b) starting from stratch, I would definitely suggest Oestrogel and Utrogestan which are bio identical and vitually risk free. However, because you were happy with your old regime and presumably you have been taking it for years, I would hesitate to suggest you change particularly as you have been messed about.
I also hesitate to mention the deeply flawed HRT studies that are responsible for ruining millions of women's lives for fear of giving them any credibility but one thing that did come out was that women should not start taking combined oral HRT if they are over 10 years post menopause and have never taken HRT before. We now know it is important for women to start on oestrogen therapy as soon as their levels start to drop and in your case, I assume you have been taking Climesse for years so this does not apply to you.
I did read somewhere (can't remember where) that because women's arteries start to clog up when they are oestrogen deficient, the introduction of oral HRT a long way past menopause (but not transdermal HRT for some reason) can cause a kind of descaling effect that can cause problems but again, that does not apply to you.
The HRT nurse said she was changing your regime because of risk but she didn't change your prescription to the bio identical transdermal route, she just put you on another synthetic oral form of HRT on a lower dose (bound to cause problems) so it doesn't make much sense. I'm not entirely sure what she was trying to achieve because Kliovance is no less risky than Climesse - not that there is much risk.